Filings, Insiders & OwnershipExtended setlive in productionNew

complexity-gated filing drift

Updated eventData needs: highlong onlyshort onlylong short

2009

You, H. & Zhang, X.-J. (2009). Financial reporting complexity and investor underreaction to 10-K information. Review of Accounting Studies, 14(4), 559-586.

Read the paper →

In plain terms

When a company files a long, hard-to-read annual report, investors are slow to digest it, so the stock keeps drifting in the direction it first moved.

How it works

Investors underreact more to annual reports that are harder to process, so post-filing drift is stronger for complex 10-Ks. A complexity gate combines the own-history z-scores of document length (Items 1 + 1A + 7 token count) and the Gunning-Fog readability of the MD&A; only high-complexity filings are traded, with direction set by the filing-window abnormal return (stock minus SPY).

Live results

0 times picked on its own · 53 times inside a blend (52 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 53 such blended picks (52 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Spy prices
A data feed this strategy reads, refreshed on its normal schedule.
SEC 10k sections
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Post-10-K drift is concentrated in the high-complexity tercile, so gating on complexity sharpens the underreaction trade.

Related families

Transcript Obfuscation BloomfieldFilings, Insiders & Ownership

When managers' call language gets harder to read (rising Fog index) Q/Q, they're hiding bad news. Predicts 12-month underperformance.

Risk Factor Count ZFilings, Insiders & Ownership

When a company lists materially more discrete risks in its 10-K vs prior year, the stock tends to underperform over the next 3-6 months.

Explore complexity-gated filing drift on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 571 families